The percentages of people, by sexual orientation, who suffered from "stress", depression" or "problems with emotions" in the last month:
Milo is right, Wilmore is wrong.
The GSS only began asking about sexual orientation in 2008, so all responses (n = 3,238) are from that year onward, well into the era of gays being celebrated as quasi-sacred objects rather than condemned as buggers.
The survey doesn't inquire about trannies, who are also discussed in the full video clip above, but it's likely that, from best to worst mental health, the ordering goes heterosexuals, followed by bisexuals, then homosexuals, and finally to trannies, the large majority of whom presumably have poor mental health.
GSS variables used: MNTLHLTH(0,1-30), SEXORNT